Robust Portfolio Optimization And Management


Robust Portfolio Optimization And Management
Author: Frank J. Fabozzi
Publisher: John Wiley & Sons
ISBN: 0470164891
Size: 56.11 MB
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Robust Portfolio Optimization And Management

eBook File: Robust-portfolio-optimization-and-management.PDF Book by Frank J. Fabozzi, Robust Portfolio Optimization And Management Books available in PDF, EPUB, Mobi Format. Download Robust Portfolio Optimization And Management books, Praise for Robust Portfolio Optimization and Management "In the half century since Harry Markowitz introduced his elegant theory for selecting portfolios, investors and scholars have extended and refined its application to a wide range of real-world problems, culminating in the contents of this masterful book. Fabozzi, Kolm, Pachamanova, and Focardi deserve high praise for producing a technically rigorous yet remarkably accessible guide to the latest advances in portfolio construction." --Mark Kritzman, President and CEO, Windham Capital Management, LLC "The topic of robust optimization (RO) has become 'hot' over the past several years, especially in real-world financial applications. This interest has been sparked, in part, by practitioners who implemented classical portfolio models for asset allocation without considering estimation and model robustness a part of their overall allocation methodology, and experienced poor performance. Anyone interested in these developments ought to own a copy of this book. The authors cover the recent developments of the RO area in an intuitive, easy-to-read manner, provide numerous examples, and discuss practical considerations. I highly recommend this book to finance professionals and students alike." --John M. Mulvey, Professor of Operations Research and Financial Engineering, Princeton University


Robust Portfolio Optimization and Management
Language: en
Pages: 512
Authors: Frank J. Fabozzi, Petter N. Kolm, Dessislava A. Pachamanova, Sergio M. Focardi
Categories: Business & Economics
Type: BOOK - Published: 2007-08-10 - Publisher: John Wiley & Sons
Praise for Robust Portfolio Optimization and Management "In the half century since Harry Markowitz introduced his elegant theory for selecting portfolios, investors and scholars have extended and refined its application to a wide range of real-world problems, culminating in the contents of this masterful book. Fabozzi, Kolm, Pachamanova, and Focardi deserve high praise for producing a technically rigorous yet remarkably accessible guide to the latest advances in portfolio construction." --Mark Kritzman, President and CEO, Windham Capital Management, LLC "The topic of robust optimization (RO) has become 'hot' over the past several years, especially in real-world financial applications. This interest has been sparked, in part, by practitioners who implemented classical portfolio models for asset allocation without considering estimation and model robustness a part of their overall allocation methodology, and experienced poor performance. Anyone interested in these developments ought to own a copy of this book. The authors cover the recent developments of the RO area in an intuitive, easy-to-read manner, provide numerous examples, and discuss practical considerations. I highly recommend this book to finance professionals and students alike." --John M. Mulvey, Professor of Operations Research and Financial Engineering, Princeton University
Essays on Robust Portfolio Management
Language: en
Pages:
Authors: Lukas Plachel
Categories: Business & Economics
Type: BOOK - Published: 2019 - Publisher:
Modern Portfolio Theory (MPT) provides an elegant mathematical framework for the efficient portfolio allocation problem. Despite its exceptional popularity, MPT poses a number of well-documented problems in practical applications. Especially the fact that it generates notoriously extreme and non-robust allocations which may seriously impair the out-of-sample performance. This thesis introduces three methods with the common objective to remedy those shortcomings. Chapter 1 addresses the problems of traditional mean-variance optimization originating from model- and estimation errors. In order to simultaneously tackle both error sources, a joint method for covariance regularization and robust optimization is proposed which exploits the inherent complementarity between the two concepts. An application of the method to equity markets reveals similarly attractive behaviour as pure covariance regularization during normal times and improved performance as measured by out-of-sample volatility if a jump in systematic risk occurs. Chapter 2 introduces a covariance estimation approach which is based solely on characteristic company information. In contrast to traditional, time series based estimation procedures which typically lead to extreme and unreliable estimates, the proposed method produces stable covariance matrices which can be used if no time series data is available, or complementary to traditional methods. We derive characteristics-based covariance matrices for a US
Robust Equity Portfolio Management
Language: en
Pages: 256
Authors: Woo Chang Kim, Jang Ho Kim, Frank J. Fabozzi
Categories: Business & Economics
Type: BOOK - Published: 2015-11-25 - Publisher: John Wiley & Sons
A comprehensive portfolio optimization guide, with provided MATLAB code Robust Equity Portfolio Management + Website offers the most comprehensive coverage available in this burgeoning field. Beginning with the fundamentals before moving into advanced techniques, this book provides useful coverage for both beginners and advanced readers. MATLAB code is provided to allow readers of all levels to begin implementing robust models immediately, with detailed explanations and applications in the equity market included to help you grasp the real-world use of each technique. The discussion includes the most up-to-date thinking and cutting-edge methods, including a much-needed alternative to the traditional Markowitz mean-variance model. Unparalleled in depth and breadth, this book is an invaluable reference for all risk managers, portfolio managers, and analysts. Portfolio construction models originating from the standard Markowitz mean-variance model have a high input sensitivity that threatens optimization, spawning a flurry of research into new analytic techniques. This book covers the latest developments along with the basics, to give you a truly comprehensive understanding backed by a robust, practical skill set. Get up to speed on the latest developments in portfolio optimization Implement robust models using provided MATLAB code Learn advanced optimization methods with equity portfolio applications Understand the formulations,
Equity Valuation and Portfolio Management
Language: en
Pages: 576
Authors: Frank J. Fabozzi, Harry M. Markowitz
Categories: Business & Economics
Type: BOOK - Published: 2011-09-20 - Publisher: John Wiley & Sons
A detailed look at equity valuation and portfolio management Equity valuation is a method of valuing stock prices using fundamental analysis to determine the worth of the business and discover investment opportunities. In Equity Valuation and Portfolio Management Frank J. Fabozzi and Harry M. Markowitz explain the process of equity valuation, provide the necessary mathematical background, and discuss classic and new portfolio strategies for investment managers. Divided into two comprehensive parts, this reliable resource focuses on valuation and portfolio strategies related to equities. Discusses both fundamental and new techniques for valuation and strategies Fabozzi and Markowitz are experts in the fields of investment management and economics Includes end of chapter bullet point summaries, key chapter take-aways, and study questions Filled with in-depth insights and practical advice, Equity Valuation and Portfolio Management will put you in a better position to excel at this challenging endeavor.
Optionsbewertung und Portfolio-Optimierung
Language: de
Pages: 294
Authors: Ralf Korn, Elke Korn
Categories: Mathematics
Type: BOOK - Published: 2013-03-09 - Publisher: Springer-Verlag
Der Erwartungswert-Varianz-Ansatz nach Markowitz - Das zeitstetige Marktmodell (Wertpapierpreise, vollständige Märkte, Ito-Integral und Ito-Formel, Variation der Konstanten, Martingaldarstellungsatz) - Das Optionsbewertungsproblem (Duplikationsprinzip, Satz von Girsanov, Darstellungssatz von Feynman und Kac) - Das Portfolio-Problem in stetiger Zeit (Martingalmethode, HJB-Gleichung, stochastische Steuerung)
Portfolio Management
Language: de
Pages: 588
Authors: Dietmar Ernst, Marc Schurer
Categories: Business & Economics
Type: BOOK - Published: 2014-11-19 - Publisher: UTB
Nach einer Einführung in die inhaltlichen und mathematischen Grundlagen demonstriert das Lehrbuch die wichtigsten quantitativen Modelle des aktiven und passiven Portfolio Managements mit ihren jeweiligen Stärken und Schwächen. Die praktische Umsetzung der Modelle wird anhand von Fallbeispielen in Excel und MATLAB veranschaulicht. Fragestellungen am Ende jedes Kapitels sorgen für maximalen Lernerfolg.
Simulation and Optimization in Finance
Language: en
Pages: 896
Authors: Dessislava A. Pachamanova, Frank J. Fabozzi
Categories: Business & Economics
Type: BOOK - Published: 2010-09-23 - Publisher: John Wiley & Sons
An introduction to the theory and practice of financial simulation and optimization In recent years, there has been a notable increase in the use of simulation and optimization methods in the financial industry. Applications include portfolio allocation, risk management, pricing, and capital budgeting under uncertainty. This accessible guide provides an introduction to the simulation and optimization techniques most widely used in finance, while at the same time offering background on the financial concepts in these applications. In addition, it clarifies difficult concepts in traditional models of uncertainty in finance, and teaches you how to build models with software. It does this by reviewing current simulation and optimization methodology-along with available software-and proceeds with portfolio risk management, modeling of random processes, pricing of financial derivatives, and real options applications. Contains a unique combination of finance theory and rigorous mathematical modeling emphasizing a hands-on approach through implementation with software Highlights not only classical applications, but also more recent developments, such as pricing of mortgage-backed securities Includes models and code in both spreadsheet-based software (@RISK, Solver, Evolver, VBA) and mathematical modeling software (MATLAB) Filled with in-depth insights and practical advice, Simulation and Optimization Modeling in Finance offers essential guidance on some of the
Modern Portfolio Optimization with NuOPTTM, S-PLUS®, and S+BayesTM
Language: en
Pages: 406
Authors: Bernd Scherer, R. Douglas Martin
Categories: Business & Economics
Type: BOOK - Published: 2007-09-05 - Publisher: Springer Science & Business Media
In recent years portfolio optimization and construction methodologies have become an increasingly critical ingredient of asset and fund management, while at the same time portfolio risk assessment has become an essential ingredient in risk management. This trend will only accelerate in the coming years. This practical handbook fills the gap between current university instruction and current industry practice. It provides a comprehensive computationally-oriented treatment of modern portfolio optimization and construction methods using the powerful NUOPT for S-PLUS optimizer.
The Journal of Computational Finance
Language: en
Pages:
Authors: Bernd Scherer, R. Douglas Martin
Categories: Finance
Type: BOOK - Published: 2008 - Publisher:
Books about The Journal of Computational Finance
Abstracts of Public Administration, Development, and Environment
Language: en
Pages:
Authors: Bernd Scherer, R. Douglas Martin
Categories: Developing countries
Type: BOOK - Published: 2007 - Publisher:
Books about Abstracts of Public Administration, Development, and Environment